Another Manic Monday: Rethinking Low-FICO MBS Post-Vantage

In this week's Convexity Pulse, Kirill Krylov and Steven Scheerer discuss why agency MBS can look expensive at the broad basis level while still offering compelling opportunities beneath the surface. They examine how VantageScore adoption is changing the information content of traditional low-credit-score specified pools, potentially creating new distinctions in refinance friction and call protection. The episode also explores the return of bank demand, where recent Call Report data show depositories adding agency MBS selectively through Ginnies and CMOs rather than broadly extending into conventional pass-throughs.